Heat curing type liquid silicone rubber compositions are employed in a variety of applications since they are effectively moldable and exhibit good heat resistance, weather resistance and electrical insulation after molding. On the other hand, silicone rubber sponge is lightweight while maintaining the heat resistance, weather resistance, electrical insulation inherent to silicone rubber. By virtue of the inclusion of gas in the molded part, the silicone rubber sponge serves the function of a shock absorber or cushioning member by utilizing its volume contraction and the function of a thermal insulating or thermal storage material by utilizing its low heat transfer, finding a wide variety of applications. One version of the silicone rubber sponge is a silicone rubber foam which is prepared by several methods, for example, by adding a thermally decomposable blowing agent, or by molding and curing while generating hydrogen gas by-product. In the method of adding a thermally decomposable blowing agent, the toxicity and odor of decomposed gases are problems. In the system wherein a platinum catalyst is used as the curing catalyst, the retardation of cure by the blowing agent is a problem. The method of utilizing hydrogen gas by-produced during the curing step suffers from such problems as the potential explosion of hydrogen gas and the careful handling of uncured composition during shelf storage. Further, the gas generating method encounters difficulty in forming controlled uniform cells when the silicone rubber composition is a liquid one. One known approach addressing the above-mentioned problems is to incorporate hollow particles of inorganic material, typically ceramic material into rubber. This method provides little contribution to weight reduction because of a high specific gravity and achieves only a little thermal conductivity decline and a weak cushioning effect because of the inorganic nature. It is also known from JP-A 5-209080 corresponding to U.S. Pat. No. 5,246,973 and JP-A 9-137063 corresponding to U.S. Pat. No. 5,750,581 to add a hollow filler of organic resin and an organic resin filler encapsulating a volatile material so that it may expand upon heating. Since the heat resistance of the organic resin filler is poor, the physical properties of molded parts are largely altered, failing to take advantage of the heat resistance of silicone rubber. In particular, the compression set increases to considerably large values at elevated temperature, especially above 80.degree. C. due to the influence of hollow filler. This negates the application to sealants, gaskets, cushions and rolls which are used at elevated temperature.